Correlation Analysis Between Madrid Gnrl and NZSE

This module allows you to analyze existing cross correlation between Madrid Gnrl and NZSE. You can compare the effects of market volatilities on Madrid Gnrl and NZSE and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in Madrid Gnrl with a short position of NZSE. See also your portfolio center. Please also check ongoing floating volatility patterns of Madrid Gnrl and NZSE.
Horizon     30 Days    Login   to change

Madrid Gnrl  vs.  NZSE

 Performance (%) 

Pair Volatility

Assuming 30 trading days horizon, Madrid Gnrl is expected to under-perform the NZSE. In addition to that, Madrid Gnrl is 1.31 times more volatile than NZSE. It trades about -0.07 of its total potential returns per unit of risk. NZSE is currently generating about -0.02 per unit of volatility. If you would invest  872,120  in NZSE on November 10, 2018 and sell it today you would lose (6,118)  from holding NZSE or give up 0.7% of portfolio value over 30 days.

Pair Corralation between Madrid Gnrl and NZSE

Time Period2 Months [change]
StrengthVery Weak
ValuesDaily Returns


Madrid Gnrl diversification synergy

Modest diversification

Overlapping area represents the amount of risk that can be diversified away by holding Madrid Gnrl and NZSE in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on NZSE and Madrid Gnrl is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on Madrid Gnrl are associated (or correlated) with NZSE. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of NZSE has no effect on the direction of Madrid Gnrl i.e. Madrid Gnrl and NZSE go up and down completely randomly.

Comparative Volatility

 Predicted Return Density 

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